Abstract
The stochastic linear regulator problem is extended to cover the case of non-Gaussian white noise. Using martingale theory, it is proved that the linear optimal regulator is also optimal for non-Gaussian white noise.
| Original language | Undefined |
|---|---|
| Pages (from-to) | 121-123 |
| Journal | IEEE transactions on automatic control |
| Volume | 19 |
| Issue number | 2 |
| Publication status | Published - 1974 |
Keywords
- IR-55599